Stochastic Calculus and basic knowldedge of Derivative contracts
The aim of the course is to provide the students the necessary backgroud to start a career as a trader or a quantitative analyst in a Financial Institution.
The focus is on Fixed Income Derivatives, Bonds and XVAs with a critical focus on the underlying hypotheses behind the models used in the practice
-Brigo Mercurio Interest rate Models Theory and Practice, 2nd edition, Springer 2006 -Rebonato Riccardo. Volatility And Correlation.Wiley 2004 -John Gregory The XVA Challenge Wiley 2015
Lectures and Exercises
Written and Oral exam
attendance strongly recommended
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